Dynamic reinsurance via martingale transport

Beatrice Acciaio, Brandon Garcia Flores, Antonio Marini and Gudmund Pammer

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Abstract: We formulate a dynamic reinsurance problem in which the insurer seeks to satisfy prescribed terminal moment or risk-based constraints while minimizing the $L^2$-norm of the ceded risk. As a tool for this analysis, we first use techniques from martingale optimal transport to study the auxiliary problem in which the insurer matches a given terminal distribution of the surplus process. We show that, under suitable assumptions, this auxiliary problem admits a tractable solution analogous to the Bass martingale. We then relax this condition by only requiring certain moment or risk-based constraints.

Date: 2026-01, Revised 2026-09
New Economics Papers: this item is included in nep-rmg
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